The recent empirical literature has shown that the dynamic generating mechanism of macroeconomic variables can be asymmetric. Inspiring from these empirical results, this thesis uses a class of nonlinear models called smooth transition autoregressive models to investigate possible asymmetric dynamics in inflation and nominal exchange rate series of Turkey. Estimation results imply that variables under consideration contain strong nonlinearities and these can be modeled by STAR models.

Thesis (Ph. D.)--University of Missouri-Columbia, 2002. / Typescript. Vita. Includes bibliographical references (leaves 79-81). Also available on the Internet.

Made available in DSpace on 2016-06-02T19:33:10Z (GMT). No. of bitstreams: 1 LIMA_Tania_2013.pdf: 544878 bytes, checksum: 3ab61a445786d45aa5a0f88a548b8b74 (MD5) Previous issue date: 2013-06-10 / This research sought to understand the Brazilian youth unemployment in the period 2003 - 2011. The aim of this study is to verify if the business cycles and changes in the minimum wage have been affecting youth unemployment, considering the control of socioeconomic variables. In order to develop such analyses, this study has considered linear panel data as one estimation method and dynamic panel as the other method. In addition, the current research has been considered the four initial interviews contained in PME database. The results of the study show that the youth unemployment rate has been affected by economic cycles, wages and socioeconomic variables, like proportion of labor force non-white , formal sector and metropolitan region that the individual belongs to. Concerning the dynamic character, the previous level of youth unemployment and economic cycles are the main factors affecting the variability of youth unemployment rate. It is worth mentioning that the present study splits the youth group into two subcategories, "teens" and "young-adults", aiming at verifying whetherthe cycles and wages have been impacting in a similar fashion. Thus, the results show that the two distinct subcategories demonstrate different sensitiveness, making room for the creationof different public policies. / A presente pesquisa buscou compreender o desemprego juvenil brasileiro no período 2003 - 2011. O objetivo do presente estudo consiste em verificar se os ciclos econômicos e as mudanças no salário-mínimo afetam o desemprego juvenil, controlado por variáveis socioeconômicas. Para dada análise utilizou-se os métodos de estimação painel linear e painel dinâmico, sendo consideradas as quatro entrevistas iniciais da base de dados da PME (Pesquisa Mensal de Empregos). Os resultados do estudo apontaram que a taxa de desemprego juvenil é afetada em nível pelos ciclos econômicos, salário e variáveis socioeconômicas, tais como proporção da força de trabalho não branca, carteira assinada e a região metropolitana que o indivíduo pertencia. No tocante ao caráter dinâmico, nota-se que o nível do desemprego juvenil passado e a variável de ciclo econômico são os principais fatores a afetarem a taxa de desemprego dos jovens. Vale ressaltar que a presente pesquisa dividiu o grupo juvenil em duas subcategorias, adolescentes e jovem-adulto , no intuito de verificar se ciclos e salários impactavam da mesma forma. Sendo assim, observou-se que as duas subcategorias apresentam sensibilidades distintas, dando espaço para escopos de políticas públicas diferenciados.

La question centrale qui chapeaute cette thèse est : quelle sont les sources des fluctuations économiques ? De nombreux articles mettent en évidence le rôle majeur des facteurs et chocs financiers. A partir de ce postulat, j'analyse la capacité des modèles macroéconomiques dynamiques à reproduire les co-mouvements observés dans les données entre la production, la consommation, l'investissement et l'emploi, suite à un choc financier. Le premier chapitre montre que les modèles standards n'arrivent pas à générer ces co-mouvements, car ils impliquent des mouvements opposés entre la consommation et l'investissement. Une solution est de modéliser des banques qui prêtent à la fois aux entreprises et aux ménages, puis de considérer le choc financier comme un resserrement simultané des contraintes de crédit des deux types d'emprunteurs. Le second chapitre est une évaluation quantitative de cette idée. Avec David Gauthier, nous estimons un riche modèle macroéconomique sur données américaines à l'aide de méthodes bayésiennes. Nous motivons notre choc de collatéral par l'observation que les banques américaines ajustent les conditions de crédit de manière similaire pour les firmes et les ménages. Nous trouvons que le choc de collatéral explique une large partie des fluctuations économiques, car il est capable de générer les co-mouvements. Le troisième chapitre est l'étape suivante. Je souhaite endogénéiser les conditions de prêts bancaires. L'idée est de reproduire la récession de 2008, au cours de laquelle un choc dans le marché immobilier affectant initialement les ménages a été transmis au reste de l'économie à travers les banques qui ont diminué le crédit alloué aux entreprises. / The main question at the heart of this thesis is, what drives business cycle fluctuations? A growing body of evidence suggests that financial factors and shocks matter most. Based on this premise, I ask whether financial shocks in dynamic macroeconomic models can generate the positive co-movements in output, consumption, investment, and hours worked observed in the data. The first chapter shows that standard models fail in doing so, because they typically imply a countercyclical response of consumption. One solution is to have banks lend both to firms and households, and to assume, that the financial shock is a common credit tightening on both. The second chapter offers a quantitative analysis of this idea. Together with David Gauthier, we motivate what we call the collateral shock by documenting that banks in the US effectively adjust standards in a similar way regard less if the borrower is a firm or a household. We estimate a rich macroeconomic model with Bayesian methods on US financial and macro data over the 1985-2015 period. We find that the collateral shock is the main driver of economic fluctuations. The reason is the collateral shock is able to generate pro cyclical consumption, investment, hours, and credit to firms and households, which are features of US business cycles. The third chapter attempts to go a step further by making lending standards endogenous. The idea is to have banks act as a propagation channel. A shock that emerges in the housing market and that initially affects households is transmitted to firms by a panic-prone financial sector that tightens credit to businesses. This model would replicate the story of the 2008 recession in the United States.

Made available in DSpace on 2016-12-23T14:00:38Z (GMT). No. of bitstreams: 1 FOLHA DE ROSTO A SUMARIO.pdf: 114961 bytes, checksum: 8ff6dbc0edc8b0f0942b2113ba85fdfd (MD5) Previous issue date: 2008-05-01 / Leading indicators are a method based on the examination of a cycle as an empirical phenomenon; the concept of business cycles appeared in middle of the 20th century by Wesley Mitchell and Arthur Burns. It is one technique that searchs to anticipate the behavior of one given serie (reference). Diverse methods exist for its construction. In this study it is considered a construction of an indicator for Produção Industrial Brasileira (Brazilian Industrial Production) with the objective of calculating the probabilities of the turning point. For this, the series have been filtered and standardized. The Granger criterion gave basis for the selection. A balance with cross correlograms of the chosen sequencies (series) occurs for the composition of the indicator and for the calculation of the probability of reversion the methodology of Neftçi (1982) was used. Around 290 sequencies (series) were analyzed and only 9 were selected for the construction of the indicator. Some samples periods of time have been studied from January of 1992 to December of 2006 for the calculation of the probabilities, these also have been calculated by another method (probit) to compare with the methodology of Neftçi. The results demonstrate the great utility of this tool for forecasting of the cyclical movements of economic series. It is a technique that can be used to help with public politics and private policy making. / Indicadores antecedentes é um método baseado no exame do ciclo como um fenômeno empírico; surgiu do conceito de ciclos de negócio em meados do século XX por Wesley Mitchell e Arthur Burns. É uma técnica que busca antecipar o comportamento cíclico de uma dada série (referência). Existem diversos métodos para sua construção. Neste estudo propõe-se a construção de um indicador para a Produção Industrial Brasileira com o objetivo de calcular as probabilidades de mudança de fase ou reversão dos ciclos (turning point). Para isto as séries foram filtradas e padronizadas. A seleção se deu por um critério de causação (Causalidade de Granger). Para a composição do indicador, foi realizada uma ponderação com a correlação cruzada das séries escolhidas devidamente defasadas e, por fim, para o cálculo da probabilidade de reversão foi utilizada a metodologia de Neftçi (1982). Analisou-se cerca de 290 séries e somente nove foram selecionadas para a construção deste indicador. Estudaram-se alguns períodos amostrais, entre 01/1992 a 12/2006, para o cálculo das probabilidades, estas também foram calculadas por outro método (probit) para confronto com a metodologia de Neftçi. Os resultados demonstram a grande utilidade de tal ferramenta para previsão dos movimentos cíclicos de séries econômicas. É uma técnica que pode ser utilizada como orientação para políticas públicas e decisões privadas.

The cycle regression analysis algorithm is the most recent addition to a group of techniques developed to detect "hidden periodicities." This dissertation investigates four major aspects of the algorithm. The objectives of this research are 1. To develop an objective method of obtaining an initial estimate of the cycle period? the present procedure of obtaining this estimate involves considerable subjective judgment; 2. To validate the algorithm's success in extracting cycles from multi-cylical data; 3. To determine if a consistent relationship exists among the smallest amplitude, the error standard deviation, and the number of replications of a cycle contained in the data; 4. To investigate the behavior of the algorithm in the predictions of major drops.

The process of globalisation has had a large impact on the world economy over the past three decades. Economic globalisation has manifested itself in the increasing integration of goods and services through international trade and the integration of financial markets. As a consequence the existence of co-movements in economic variables of different countries has become more evident. The extent to which globalisation causes a country’s economy to move together with the rest of the world concerns policy-makers. When such co-movement is significant, the influence of policy-makers on their respective domestic economies is significantly reduced. South Africa re-entered the international economy in the early 1990s when the forces of globalisation, especially for developing countries, seemed to gain momentum. Empirical research such as Kabundi and Loots (2005) found strong evidence of international co-movement between the world business cycle and the South African business cycle, particularly following South Africa’s integration into the global economy. This study examines the relationship and interdependence between South Africa and four of its major developed trading partners. More particularly, the study examines the question of whether business cycles are transmitted from Germany, Japan, US and UK to South Africa, and/or from South Africa to Germany, Japan, the US and UK. The study employs structural vector autoregressive (SVARs) models to analyse monthly data from 1980:01–2008:04 on industrial production, producer prices, short-term interest rates and real effective exchange rates. The results show that South Africa benefits from economic growth in both the UK and US. They also indicate significant price transmission from Germany and Japan to South Africa, with transmission in the opposite direction being statistically insignificant. The impulse response graphs show that a positive one standard deviation shock to both German and Japanese producer prices has a negative impact on South African output (industrial production) growth. Furthermore, South African monetary policy is relatively unresponsive to international monetary policy stances. The findings of this study indicate that South African policymakers need to take into consideration economic performance of the country’s major trading partners, with particular emphasis on the UK and US economies.

Desde o trabalho de Lucas (1987), diversos autores se dedicaram a medir o custo de bem-estar dos ciclos econômicos. Embora a literatura desse tema para os Estados Unidos seja extensa, há poucos estudos para países em desenvolvimento. O objetivo do presente trabalho é estimar este custo para uma amostra de países latino-americanos e compará-lo ao custo obtido dos dados da economia dos Estados Unidos. É utilizada a metodologia proposta por Reis (2009), que assume que o consumo segue um processo ARIMA(p,1,q), que tem as ordens selecionadas com base no critério de informação bayesiano. Os resultados obtidos indicam que, sob todos os processos assumidos para as série de consumo, os países latino-americanos possuem custo consideravelmente maior do que o dos Estados Unidos. Entretanto, quando se assume a estrutura ARIMA, a diferença entre os custos dos países latino-americanos e dos Estados Unidos é a menor. / Since the work of Lucas (1987), several authors have dedicated to measure the welfare costs of business cycle. Although the literature on this subject is extensive for the United States, few studies were made considering developing countries data. The objective of this study is to estimate this cost for a sample of Latin American countries and compare it to the cost obtained from the US economy data. The methodology proposed by Reis (2009) is used. It assumes that consumption follows an ARIMA (p,1,q) model, and the p and q orders are selected based on the Bayesian information criterion. The results indicate that, in all processes assumed for the consumption series, Latin American countries have considerably higher welfare costs than the US. However, when the ARIMA structure is assumed, the difference between the costs of Latin American countries and the United States is the smallest.

Submitted in fulfillment of the requirements for the degree of Doctor of Technology: Business Administration, Durban University of Technology, Durban, South Africa, 2017. / This thesis was aimed at developing a model of growth through diversification, for shipping agencies in South Africa, under recessionary conditions. The study adopted a mixed methods approach, in seeking to develop a methodology to meet the aims of the research project; to develop a framework of diversification strategies for the shipping industry. The mixing of quantitative data and qualitative data not only enriched the findings but assisted with validation thereof, while achieving the research aims through the methodology adopted. The theoretical foundation of the study was on the theories of diversification, the theory of human behaviour and other economic principle theories, all of which were sampled among South African corporate executives in the shipping supply chain. Surveys were carried out using two structured research instruments in the form of questionnaires to collect quantitative data, with qualitative data collected through interviews, focus groups and observation. The data were analysed using triangulation to combine the results of the investigation. Statistical analysis was employed for the quantitative research and results illustrated in tables, combined with thematic analysis through qualitative research, to draw conclusions and recommendations on the study. The findings confirmed that there are opportunities for diversification into husbandry services, freight transportation, charterers’ services and other markets along the supply chain. Reasons for diversification among shipping firms include similar resource utilisation to service many functions, diversification to gain market leadership and poor performance in existing markets. The theory is not conclusive about whether related or unrelated diversification affects firm performance. The development of operation Phakisa, to focus on unlocking the economic potential of South Africa’s oceans, has not been addressed and needs more research into its feasibility and likely impact on the South African container shipping industry. There is need for management to mobilise resources, such that they can serve many functions and activities, and to build competences through human resources management. The study is relevant for the shipping supply chain executive, as it contributes to managerial decision-making, in terms of analysing their capability to create and apply knowledge in their competitive strategies. / D

The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.